Finance Junkie
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Postby AMITAG1990 » Fri Nov 09, 2012 12:50 pm

hi, actually i have one doubt regarding the use of one tail and two tail distribution in relation with VaR. Actually in VaR que most of time they uses a one tail value and some times uses a two tail Z value. please some one can tell me how to recognise this in VaR.


Finance Junkie
Posts: 356
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Re: Var

Postby content.pristine » Sat Nov 10, 2012 11:40 am

For VaR, you should always use 1-tail Z value.
However, if that is not available, you need to use the 2 tail.
For example, 95% VaR, you would need 95% one tail, or 90% 2 tail (5% on each side)
They will give you the same Z value


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